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Large Block Trade of VIX Call Spreads trades as VIX heads below 14

May 03, 2019

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  • L Brands (LB) 1-month implied volatility is picking up going into earnings in late May.  LB is a “Top Short” for us this month and we are definitely going to be exploring ways to exploit this rich implied volatility.  We have mentioned this before but it is probably worth highlighting again that we like to trade event variance around earnings BEFORE we get too close to the earnings release date.  It permits us to put on a trade without having risk premium skewed. 

  • Shocked to see overall implied volatility for the iShares Emerging Markets ETF (EEM) so low!  What is even more interesting is that despite such low levels of implied volatility for EEM, the risk premium (implied-realized spreads) remain wide.  That means realized volatility is even lower versus its historical averages!  Feels like emerging markets investors are pricing in the inevitably of a US-China trade deal.  EEM has a “BUY” trading signal.  Maybe there is a trade here? 

Major Stock Block Trades From Thursday

Bullish
  • OSTK Seller 14,300 Sep – Dec 30 put spreads (appears to roll write out, Earnings 5/9, ref. 13.46)  
  • CVS Seller 18,000 Jun 52.5 puts (opens write, collects $.79, ref. 56.12) 
Bearish
  • MYL 13,754 Jun 30 calls trade (appears sold to open, $.63, ref. 27.36)
  • GPRO 20,000 Jun 5 puts trade (paid $.27 on largest lot, ref. 5.66) 

Major ETFs Block Trades From Thursday

Bullish
  • GLD 10,000 Jun 122 – 125 call spreads trade ($.55, ref. 119.90) 
  • OIH Buyer 30,000 May 17 – Jul 18 call spreads (paid $.205, ref. 16.01) 
Bearish
  • EEM 20,000 Sep 30th 37 puts trade tied to stock (appears bought, $.36, ref. 43.63)  
  • VIX Buyer 50,000 May 50 – Oct 47 call spreads trade (appears to roll out and down, ref. 15.00 (May)) and 17.20 (Oct)) 

Implied Volatility Data For Liquid Macro Index ETFs

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Name Ticker 1-Month IV 1-Month IV Percentile 3-Month IV 3-Month IV Percentile 3-Month/1-Month IV 3-Month/1-Month IV
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
S&P 500 ETF Trust SPY 11.68 55.75% 12.05 44.44% 1.03 25.4% 100.0% 80.16%
Invesco QQQ Trust QQQ 14.57 32.54% 15.87 37.7% 1.09 77.18% 98.41% 100.0%
iShares Russell 2000 ETF IWM 15.29 56.75% 15.79 61.31% 1.03 54.37% 68.65% 61.51%
SPDR EURO STOXX 50 ETF FEZ 13.41 35.71% 14.68 42.26% 1.09 66.47% 96.03% 95.63%
iShares MSCI Emerging Markets ETF EEM 14.27 3.17% 15.13 2.38% 1.06 68.06% 99.6% 91.67%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
VanEck Vectors Junior Gold Miners ETF GDXJ 28.27 28.7 80.16% 87.10% 63.10% 48.02%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.17 87 77.18% 90.87% 59.92% 53.17%
iShares U.S. Medical Devices ETF IHI 19.34 17.23 76.19% 70.63% 51.19% 65.48%
Direxion Daily S&P Oil & Gas Exp. & Prod. Bull 3X Shares GUSH 98.03 89.82 76.19% 73.02% 51.19% 41.67%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 82.9 86 73.02% 90.87% 62.70% 56.75%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Direxion Shares ETF Trust - Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 84.17 87 77.18% 90.87% 59.92% 53.17%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 82.9 86 73.02% 90.87% 62.70% 56.75%
VanEck Vectors Junior Gold Miners ETF GDXJ 28.27 28.7 80.16% 87.10% 63.10% 48.02%
VanEck Vectors Oil Services ETF OIH 31.31 31.48 71.03% 77.38% 50.79% 64.29%
Teucrium Corn Fund CORN 20 21.23 72.62% 73.81% 82.94% 72.22%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
CBRE Group, Inc. CBRE 28.56 23.3 100.00% 81.50% 100.00% 82.08%
Capri Holdings Limited CPRI 55.64 48.29 100.00% 94.44% 100.00% 94.44%
Centene Corporation CNC 48.97 41.74 99.21% 98.81% 37.30% 54.76%
L Brands, Inc. LB 55.33 42.21 98.41% 69.05% 90.08% 92.06%
Tapestry, Inc. TPR 48.52 38.77 98.02% 88.89% 83.33% 51.19%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Centene Corporation CNC 48.97 41.74 99.21% 98.81% 37.30% 54.76%
The Walt Disney Company DIS 25.55 23.85 89.88% 96.03% 3.97% 13.10%
Capri Holdings Limited CPRI 55.64 48.29 100.00% 94.44% 100.00% 94.44%
Mylan N.V. MYL 44.76 37.58 91.27% 93.25% 99.60% 50.00%
Occidental Petroleum Corporation OXY 33.84 31.03 94.05% 92.86% 93.25% 97.62%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Cheapest 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
ProShares UltraShort 20+ Year Treasury TBT 14.37 16.45 0.40% 1.59% 34.52% 2.78%
iShares 20+ Year Treasury Bond ETF TLT 7.59 7.82 0.40% 0.40% 44.84% 0.40%
Vanguard FTSE Emerging Markets ETF VWO 13.35 15.08 0.79% 6.75% 97.22% 93.65%
iShares China Large-Cap ETF FXI 16.93 17.98 1.98% 3.57% 85.71% 89.29%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 23.32 24.46 1.98% 1.19% 46.43% 0.79%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Cheapest 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
iShares 20+ Year Treasury Bond ETF TLT 7.59 7.82 0.40% 0.40% 44.84% 0.40%
Direxion Daily FTSE China Bull 3X Shares YINN 51.89 51.32 4.37% 1.19% 94.44% 86.51%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 23.32 24.46 1.98% 1.19% 46.43% 0.79%
ProShares UltraShort 20+ Year Treasury TBT 14.37 16.45 0.40% 1.59% 34.52% 2.78%
ProShares UltraShort Gold GLL 16.87 17.51 2.38% 1.59% 52.38% 1.98%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Cheapest 1-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Mondelez International, Inc. MDLZ 13.52 15.66 0.40% 1.59% 83.73% 98.81%
Johnson Controls International plc JCI 15.55 17.59 0.40% 0.79% 7.54% 68.25%
Synchrony Financial SYF 20.63 22.48 0.79% 0.40% 75.00% 94.05%
Evergy, Inc. EVRG 12.55 14.05 1.12% 1.69% 19.66% 0.56%
Charter Communications, Inc. CHTR 19.03 22.05 1.19% 1.19% 92.06% 99.60%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Cheapest 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Under Armour, Inc. UAA 32.9 35.82 1.98% 0.40% 30.16% 50.00%
O'Reilly Automotive, Inc. ORLY 21.16 22.85 4.56% 0.40% 28.57% 40.48%
Church & Dwight Co., Inc. CHD 18.34 16.41 22.22% 0.40% 90.48% 80.16%
Martin Marietta Materials, Inc. MLM 21.89 21.16 14.29% 0.40% 50.40% 31.35%
Colgate-Palmolive Company CL 14.97 16.67 3.57% 0.40% 12.70% 55.95%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

Global Stock Indice Price Returns

 

 

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